Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 27 / 4

Standard one-dimensional Brownian motion is a real process with $B_0=0$, continuous paths almost surely, and increments $B_t-B_s\sim N(0,t-s)$ independent of the past at time $s$, for $0\le s<t$. These conditions determine its entire finite-dimensional distribution family.

The Wiener theorem asserts that such a process exists, equivalently that there is a unique Wiener measure on $C_0([0,\infty ),\mathbb{R})$ under which the coordinate process has these properties. To construct it, prescribe centered multivariate normal laws with covariance $\mathbb{E}{B}_s{B}_t=\min (s,t)$. This covariance is positive semidefinite becauseThe laws are consistent under removing coordinates, so the Kolmogorov extension theorem constructs the process. Normal increments have fourth moment $\mathbb{E}|B_t-B_s{|}^4=3|t-s{|}^2$. The Kolmogorov continuity theorem therefore supplies a continuous modification, retaining all the prescribed finite-dimensional laws and hence the independent normal increments. Apply this on every compact time interval, taking consistent versions; continuity and equality at rational times make them agree on overlaps. The resulting law on continuous-path space is unique because evaluations at rational times generate its Borel sigma-algebra. This is a proof sketch of the existence theorem, independent of the random-walk limit in Question 5.

For every positive real $r$, a centered normal variable of variance $t-s$ has absolute $r$th moment $c_r|t-s{|}^{r/2}$, where $c_r=\mathbb{E}|N(0,1){|}^r<\infty$. Fix $0<\alpha <1/2$ and choose $r$ large enough that $\alpha <1/2-1/r$. ThenThe Kolmogorov continuity theorem gives a modification with Hölder continuity of every exponent less than $(r/2-1)/r=1/2-1/r$, in particular exponent $\alpha$, on each compact interval. This modification and the given continuous Brownian motion agree almost surely at all rational times; continuity makes them agree everywhere simultaneously. Thus the property holds for the given trajectories, not just for another version.

Take a countable increasing sequence of positive exponents approaching $1/2$, and intersect their probability-one events for every integer time horizon. Hölder continuity of a larger exponent implies that of every smaller positive exponent on a compact interval, after adjusting the constant. We have therefore proved the simultaneous assertionThe compact-interval qualification matters: a single uniform Hölder constant on the entire half-line is not being asserted.

We use dyadic quadratic variation of Brownian motion. For fixed rational $0\le u<v$, set $\ell =v-u$ and let $Q_n$ be the sum of the squares of the $2^n$ Brownian increments on its equal-length partition. Independence and the normal fourth moment giveFor every $\eta >0$, Chebyshev's inequality bounds $\mathbb{P}(|Q_n-\ell |>\eta )$ by $2{\ell }^2{\eta }^{-2}{2}^{-n}$, a summable sequence. The Borel-Cantelli lemma implies $Q_n\to \ell$ almost surely. Intersect over positive rational $\eta$ and all rational intervals to obtain one probability-one event on which every such interval has this positive quadratic-variation limit.

If a path were Hölder of exponent $\alpha >1/2$ on a nonempty open interval, choose a compact rational subinterval $[u,v]$ within it and a finite Hölder constant $C$ there. Every partition increment would have absolute value at most $C(\ell 2^{-n}{)}^{\alpha }$, soThis contradicts $Q_n\to \ell >0$. The same pathwise event excludes every exponent greater than $1/2$, without needing an uncountable intersection of events. ThereforeThis is the quadratic variation obstruction to Hölder regularity. It rules out a continuously differentiable trajectory on any interval, since a continuous derivative is bounded on smaller compact intervals and gives a Lipschitz bound. By itself it does not rule out differentiability at an isolated point. The stronger nowhere differentiability of Brownian motion can also be seen directly as follows.

On a mesh of width $h=2^{-n}$ in $[0,M]$, the probability that any specified three consecutive increments all have absolute value at most $Kh$ is at most $C{K}^3{h}^{3/2}$: each increment is $N(0,h)$ and the three are independent. There are at most $M/h$ possible blocks, so the probability of any such block is at most $CM{K}^3{h}^{1/2}$, summable in $n$. By Borel-Cantelli lemma, for every pair of positive integers $M,K$ there are eventually no such blocks. But a finite derivative at some time $t<M$ would imply $|B_s-B_t|\le C_t|s-t|$ near $t$. The three mesh increments beginning at the mesh point immediately to the left of $t$ would then all be at most $6C_{t}h$ for all sufficiently fine meshes. Choosing an integer $K\ge 6C_t$ contradicts the preceding event. Thus finite derivatives do not exist anywhere almost surely, including a finite right derivative at $0$. The Hölder estimates below $1/2$ express continuity with a roughness scale; they do not imply differentiability.